Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia

 
Author/Editor: Chan-Lau, Jorge A. ; Ivaschenko, Iryna V.
 
Publication Date: September 01, 2002
 
 
Summary: This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility spillovers to stock markets in the Asian region during three different periods in the last decade: the pre-Long Term Capital Management crisis period, the "tech bubble" period, and the "stock market correction" period. Hong Kong SAR , Japan, and Singapore also were important spillover sources within the Asian region and affected United States to a lesser degree during the "stock market correction" period. There is also evidence of structural breaks in the stock price and volatility dynamics induced during the "tech bubble" period.
 
Subject(s): Prices | United States | Hong Kong SAR | Japan | Malaysia | Singapore | Stock markets | Economic models | Hong Kong Special Administrative Region of China

Author's Keyword(s): Price spillovers | volatility spillovers | asymmetric GARCH models | stock markets | United States | Asia
 
English
Publication Date: September 01, 2002
ISBN/ISSN: 1934-7073 Format: Paper
Stock No: WPIEA1542002 Pages: 30
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